Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi - Centre Interuniversitaire de Recherche en Analyse des … - 2001
Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...